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Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test
In: SAFE Working Paper No. 324
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Working paper
Damages Evaluation, Periodic Floods, and Local Sea Level Rise
In: Handbook of Environmental and Sustainable Finance, S. 93-110
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 65, Heft 2, S. 125-163
ISSN: 1467-9574
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA‐GARCH (VARMA‐GARCH) model of Ling and McAleer (2003) by introducing multiple thresholds and time‐dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution. It is possible to model explicitly asset‐specific shocks and common innovations by partitioning the multivariate density support. This article presents the model structure, describes the implementation issues, and provides the conditions for the existence of a unique stationary solution, and for consistency and asymptotic normality of the quasi‐maximum likelihood estimators. The article also presents an empirical example to highlight the usefulness of the new model.
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Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment
In: Energy economics, Band 132, S. 107469
ISSN: 1873-6181
Spatial effect of biomass energy consumption on carbon emissions reduction: the role of globalization
In: Environmental science and pollution research: ESPR, Band 31, Heft 18, S. 26961-26983
ISSN: 1614-7499
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Has the EU-ETS financed the energy transition of the Italian power system?
This paper focuses on the relationship between the European Union Emission Trading System allowances' prices and the Italian electricity price, aiming at assessing whether such a mechanism has been a driver for the decarbonization of the power sector. To this aim, we calculate the long-run relationships between energy prices, natural gas prices and allowances' prices, through a VECM model, distinguishing between peak and off-peak prices. The analysis is carried out for the third phase of the EU-ETS, which started in 2013, and for two-year rolling windows that account for changes over time of the pass-through rates. It is shown that the natural gas price has a high pass-through rate of roughly 70%, which is increasing over time. On the contrary, the pass-through rate of the allowances' price is as low as 7% for the wholesale electricity price, being slightly more and less for the peak and off-peak prices, respectively. However, this rate has been substantially changing over time, starting from a high level and falling significantly, becoming negative in the recent years. This could signal that the EU-ETS has been increasingly more effective in endogenizing emission costs for power producers, inducing them to reduce their production costs associated with emissions by means of a change in technologies. However, the analysis of the impulse response functions hardly supports this finding, eventually casting doubts on the effectiveness of the EU-ETS in Italy to drive the transition toward a less carbon-intensive power supply.
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Working paper
Does Monetary Policy Impact Sovereign Credit Risk Comovement?
In: SAFE Working Paper No. 276
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Working paper